CLP Strategy & Configuration Log

This document detailed information about clp position (6153292) + auto hedge on Hyperliquide.

1. Low Volatility / Weekend Optimization (Narrow Range)

Date: 2025-12-29 Status: Active Objective: Further optimalization of hedging on Hyperliquide.

🔍 Context

Market Condition: Monday, th 29th of Dec
Capital: $1,000 USDC
Range: +/- 1.5% (Narrow)

⚙️ Configuration of scripts

(See original file for full config dump)

test results

clp position: { "type": "AUTOMATIC", "token_id": 6153292, "status": "CLOSED", "target_value": 993.31, "entry_price": 869.418, "amount0_initial": 500.0094, "amount1_initial": 0.5674, "liquidity": "2284728345715808667084", "range_upper": 882.4136, "range_lower": 856.6782, "token0_decimals": 18, "token1_decimals": 18, "timestamp_open": 1766982584, "target_value_end": 982.48, "timestamp_close": 1767000734 }
hedge transactions (from Hyperliquide) (See original file for table)

results of tests are not satisfactional:

the main problem is that the hedge doesn't cover lost value of clp pool (without earned fees) -> -$2.23

🚀 Analysis & Diagnosis (2025-12-29)

After reviewing the logs and transaction history, here is the breakdown of the PnL and the root cause of the slippage.

1. PnL Breakdown (The "Missing" $2.23)

LP Position Value Change:
- Initial Value: ~$993.31
- Final Value: ~$982.50
- LP Loss: -$10.81 (This is the Impermanent Loss + Delta Loss from holding BNB as it dropped).
Hedge Compensation:
- Hedge Gross Profit: +$10.61 (from your table).
- Net Delta Efficiency: The hedge covered the LP loss almost perfectly (Diff: -$0.20).
- Conclusion: The Delta Calculation is CORRECT. The math effectively neutralized the market move.
The Costs (The Real Leak):
- Trading Fees: You paid ~$0.79 in fees on Hyperliquid (mostly from the initial Taker entry and the final Taker exit).
- Funding Fees: Since you were Shorting BNB for ~~5 hours, and rates might have been negative (Shorts pay Longs) or just the cost of carry, the remaining discrepancy (~~$1.20) is likely Funding Costs or slight slippage between LP exit price and Hedge exit price.

Total Net: -$0.20 (Delta Slippage) - $0.79 (Fees) - $1.24 (Funding/Execution Slippage) = -$2.23

2. Execution Inefficiency (The "Panic Loop")

The logs reveal a flaw in the execution strategy during trending moves:

Drift: Price drops, Delta drift exceeds threshold (0.05).
Maker Attempt: Bot places an ALO (Maker) order at the Bid.
Timeout: Market moves down faster than the order fills. The order sits pending ([WAIT]).
Cancel: Bot cancels the stale order.
Drift Worsens: The drift continues to grow as price drops further.
Panic: Eventually, Drift > 5x Threshold (Large Hedge).
Taker Smash: Bot forces an IOC (Taker) trade, paying high fees (0.035%) and eating slippage.

Evidence:

Initial Entry: [WARN] LARGE HEDGE -> Taker (Fee: $0.21).
Final Exit: [URGENT] ... Force Taker Exit -> Taker (Fee: $0.45).
These two trades alone account for ~85% of your fee costs.

🛠️ Answers to Questions

1. Is the calculation of hedge wrong? No. The Delta calculation is accurate. The gross profit of the hedge (+$10.61) almost exactly matched the raw value loss of the LP (-$10.81). The math works.

2. How we can proactively fix it? We need to fix the Execution Strategy to avoid the "Wait -> Cancel -> Panic Taker" loop.

Soft Taker Fallback: If a Maker order times out (e.g., after 30s), retry as Taker immediately before the drift becomes huge.
Asymmetric Compensation: Increase the "Over-Hedge" factor. Since V3 LP accumulates "Long" exposure as price drops (Negative Gamma), we should short more aggressively early on.

3. What we can do with configuration? We need to tune for Narrow Ranges (High Gamma).

Recommended Config Changes

Parameter	Current	Recommended	Reason
`MIN_HEDGE_THRESHOLD`	`0.05`	0.02	Hedge smaller deviations sooner to prevent runaway gamma.
`LARGE_HEDGE_MULTIPLIER`	`5.0`	2.5	Trigger Taker/Urgent correction sooner, before the hole gets too deep.
`MAKER_ORDER_TIMEOUT`	`600`	60	Don't let orders rot for 10 minutes. Cancel and retry faster.
`SHADOW_ORDER_TIMEOUT`	`600`	30	Same as above.
`BASE_REBALANCE_THRESHOLD_PCT`	`0.25`	0.15	Tighten the percentage-based trigger.

Code Change Recommendation (Unified Hedger)

We should update unified_hedger.py to:

Persist Realized PnL: Fix the bug where _status.json isn't updated with hedge PnL, so your logs reflect reality.
Execution Fallback: If an ALO order fails/cancels, decrement a counter. If it fails twice, force IOC.

📝 Action Plan

Apply the Config Changes above to clp_config.py.
(Optional) I can patch unified_hedger.py to fix the PnL logging and execution logic if you approve.

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